Stationarity and Persistence of the Term Premia in the Polish Money Market

NBP Working Paper No. 227

34 Pages Posted: 11 Mar 2016

See all articles by Michal Markun

Michal Markun

National Bank of Poland; Cardinal Stefan Wyszynski University

Anna Marszal (Mospan)

National Bank of Poland; Lodz University of Technology

Date Written: December 15, 2015

Abstract

The present paper examines the term premia in the interbank money market in Poland. We use analyst surveys to proxy interest rate expectations and forward rate agreement (FRA) market data to construct term premia. We consider the term premia at shorter and longer horizons. Both premia follow autoregressive, stationary processes of low orders. The longer term premium is higher and more volatile than the shorter one; moreover, it is also characterized by substantially higher persistence. Our findings provide direct evidence against the efficient markets hypothesis (EMH) at the short end of the Polish yield curve and indicate areas of potential ineffectiveness of the monetary policy transmission mechanism.

Keywords: short-term interest rate, expectations, term premium, persistence, surveys

JEL Classification: C83, E43, E58, G23

Suggested Citation

Markun, Michal and Marszal (Mospan), Anna, Stationarity and Persistence of the Term Premia in the Polish Money Market (December 15, 2015). NBP Working Paper No. 227, Available at SSRN: https://ssrn.com/abstract=2746392 or http://dx.doi.org/10.2139/ssrn.2746392

Michal Markun (Contact Author)

National Bank of Poland ( email )

00-919 Warsaw
Poland

Cardinal Stefan Wyszynski University ( email )

01-815 Warsaw
Poland

Anna Marszal (Mospan)

National Bank of Poland ( email )

00-919 Warsaw
Poland

Lodz University of Technology ( email )

Zeromskiego 116
Lodz, 90-924
Poland

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